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Activity Number:
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504
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Type:
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Contributed
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Date/Time:
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Wednesday, August 3, 2016 : 8:30 AM to 10:20 AM
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Sponsor:
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Business and Economic Statistics Section
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Abstract #320844
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Title:
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Exchange Traded Funds with Variable Leverage
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Author(s):
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Valmira Hoxhaj* and Ravindra Khattree
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Companies:
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Oakland University and Oakland University
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Keywords:
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Leverage Exhange Traded Funds ;
Simulations
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Abstract:
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In this article we introduce the concept of an leveraged exchange traded fund where leverage is a random variable, rather than a constant. This allows one to have more control on hedging demand ratio and it reduces the volatility of the fund. Simulations are used to study the performance of such funds and to compare them with the corresponding constant leveraged funds.
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Authors who are presenting talks have a * after their name.
